Price Linkages in the Copper Futures, Primary, and Scrap Markets
| Autor: | Shunsuke Managi, Kentaka Aruga |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Economics and Econometrics
Cointegration futures market copper scrap brass scrap cointegration causality chemistry.chemical_element Scrap Futures market Linkage (mechanical) jel:C32 Copper law.invention jel:L61 Brass Commerce chemistry law visual_art Economics visual_art.visual_art_medium Waste Management and Disposal Futures contract Global environmental analysis |
| Popis: | This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets. From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market. |
| Databáze: | OpenAIRE |
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